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Market Indicator: SPY v TLT
Today’s Change

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About

A daily switch between US stocks (SPY) and long US Treasury bonds (TLT) using a 1‑week “heat” score (RSI). If stocks look hotter than bonds, hold bonds; otherwise hold stocks. Always fully in one fund, never both.
NutHow it works
Each day it scores recent moves for SPY (big US stocks) and TLT (long‑term US Treasury bonds) using a 0–100 “heat” gauge (5‑day RSI). If SPY’s score is higher than TLT’s, it buys TLT; otherwise it buys SPY. It owns the cooler one, aiming for a short‑term snap‑back. Always 100% in one, rebalanced daily.
CheckmarkValue prop
Out-of-sample edge: 11.1% annualized return with 16.9% max drawdown (better than SPY’s ~18.8%), lower volatility, and a 0.66 Sharpe/0.65 Calmar. A disciplined stock–bond rotation that smooths risk while chasing solid gains.
1M
3M
6M
YTD
1Y
3Y
Max
Performance
Compared to selected benchmarks
Alpha
Beta
R2
R
0.09
0.56
0.34
0.58
Performance Metrics
Cumulative Return
Annualized Return
Trailing 1M Return
Trailing 3M Return
Sharpe Ratio
1,110.16%
11.32%
3.07%
6.63%
0.66
2,941.21%
15.82%
2.06%
8.65%
0.89
Initial Investment
$10,000.00
Final Value
$304,120.95
Regulatory Fees
$2,593.76
Total Slippage
$17,793.59
Invest in this strategy
OOS Start Date
Nov 25, 2024
Trading Setting
Daily
Type
Stocks
Category
Tactical allocation, mean reversion, rsi(5), stock–bond rotation, daily rebalance, spy, tlt
Tickers in this symphonyThis symphony trades 0 assets in total
Ticker
Type